In the first the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes.
The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof.
Guatteri and G. Kadison and J. Ringrose, Fundamentals of the Theory of Operator Algebras. Elementary Theory , Graduate Studies in Mathematics, Yong and X. Soc , 14 , Zhang and X. Zhang, Second order optimality conditions for optimal control problems of stochastic evolution equations, Preprint. Zhang , Well-posedness of backward stochastic differential equations with general filtration, J.
Differential Equations , , Zhang , Transposition method for backward stochastic evolution equations revisited, and its application, Math. Control Relat. Zhang, Optimal feedback for stochastic linear quadratic control and backward stochastic Riccati equations in infinite simensions, Preprint. Rohlin, On the fundamental ideas of measure theory, in Amer. Translation , , 55 pp. Veraar and L. Download preview PDF. Skip to main content. This service is more advanced with JavaScript available.
Advertisement Hide. Stochastic Differential Equations. This process is experimental and the keywords may be updated as the learning algorithm improves. Zhou, Conceptual analysis and random attractor for dissipative random dynamical systems, Acta Mathematica Scientia Series B , 28B 2 : — Download references. You can also search for this author in PubMed Google Scholar.
Correspondence to Yuhong Li. Reprints and Permissions. Li, Y. J Syst Sci Complex 21, — Download citation. Received : 25 July Revised : 24 January Published : 31 July Issue Date : September
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